I've had the same issue. I looked in the .qlr file and saw that the link in the .qlr file to the underlying data file (in my case a .shp file) was relative...meaning the xml in the .qlr file looked like this:
Suspecting the issue might be the .qlr file linking to the actual data, I played around a bit. I found two solutions, and both were path based:
1) Change this to an absolute path and upon reloading the .qlr file all will be well.
2) Move the .qlr file and the underlying data into the same directory where the project file is saved.
It seems the relative path reference is tied to the proejct file location and not the .qlr file location.
Did you find another solution? I hope this helps. There could easily be more going on here than I understand, but it is a workaround.